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A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond.
Tatiana Paraskevova Chernogorova
Beáta Stehlíková
Published in:
Numer. Algorithms (2012)
Keyphrases
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finite difference
finite element
partial differential equations
numerical solution
hamilton jacobi
numerical analysis
option pricing
finite element methods
level set
diffusion equation
numerical scheme
image analysis
numerical methods
eikonal equation